So it is not necessary to install CU#1, CU#2 and then CU#3. Just install CU#3 and be done with it.
In a SCOM R2 test environment of mine I installed CU #3 for SQL 2008 SP1 since I encountered some SSRS issues. With CU #3 these were solved. So when you run SQL 2008 SP1 for SCOM R2 you can install CU #3 since it solves some issues. I tested it and SCOM R2 runs like a charm.
CU #3 is to be found here. Be sure to select the correct version since there are multiple CU #3 packages available. Most of the times this package is the one you need: